Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.2108 |
| Annualized Std Dev | 0.4290 |
| Annualized Sharpe (Rf=0%) | -0.4915 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3315.0000 |
| NAs | 1.0000 |
| Minimum | -0.2969 |
| Quartile 1 | -0.0137 |
| Median | -0.0013 |
| Arithmetic Mean | -0.0006 |
| Geometric Mean | -0.0009 |
| Quartile 3 | 0.0118 |
| Maximum | 0.2178 |
| SE Mean | 0.0005 |
| LCL Mean (0.95) | -0.0015 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0007 |
| Stdev | 0.0270 |
| Skewness | -0.1256 |
| Kurtosis | 12.2153 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0188 |
| Gain Deviation | 0.0207 |
| Loss Deviation | 0.0195 |
| Downside Deviation (MAR=210%) | 0.0237 |
| Downside Deviation (Rf=0%) | 0.0191 |
| Downside Deviation (0%) | 0.0191 |
| Maximum Drawdown | 0.9811 |
| Historical VaR (95%) | -0.0371 |
| Historical ES (95%) | -0.0614 |
| Modified VaR (95%) | -0.0393 |
| Modified ES (95%) | -0.0476 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-10-13 | 2021-02-16 | NA | -0.9811 | 3084 | 3060 | NA |
| 2008-03-18 | 2008-06-05 | 2008-08-04 | -0.2783 | 97 | 56 | 41 |
| 2008-09-18 | 2008-09-19 | 2008-10-03 | -0.1881 | 12 | 2 | 10 |
| 2007-11-20 | 2007-12-06 | 2007-12-17 | -0.1494 | 19 | 12 | 7 |
| 2008-02-11 | 2008-02-26 | 2008-03-17 | -0.1406 | 25 | 11 | 14 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.1 | 0 | 0.1 |
| 2008 | -1.1 | 2.8 | -4.9 | -2 | -2.9 | -0.4 | 2.9 | -1.8 | 1.7 | -2 | 12.1 | -2.3 | 0.9 |
| 2009 | 5.5 | -1.7 | -5.1 | -2.6 | -3.3 | -1.4 | -1.8 | 3.3 | 4.1 | 1.8 | -7.2 | 1.2 | -7.8 |
| 2010 | -2 | -2.5 | -2.9 | 0.7 | 0.7 | -0.4 | 1.2 | -4.9 | -0.3 | 2.7 | -4.8 | -1 | -13.1 |
| 2011 | -3.8 | 0.2 | 0 | -0.5 | 2.8 | -1.9 | 1.6 | 2 | 4.9 | 2.5 | 1.8 | -2.4 | 6.9 |
| 2012 | -1.4 | -1 | -0.5 | 1.8 | 5.3 | -3.3 | -0.2 | 0.5 | 0.2 | -1.8 | 0.7 | -1.7 | -1.7 |
| 2013 | 0.7 | -1.5 | 7.3 | 1.8 | 4.1 | -2.4 | -5.7 | 4.2 | 1 | 2.6 | -0.2 | -0.1 | 11.7 |
| 2014 | 4.7 | -0.6 | -1.2 | -2.7 | -0.3 | -2 | 0.1 | 0.3 | 3.2 | -10.5 | -1 | 1 | -9.4 |
| 2015 | 3.1 | 0.6 | 0.7 | -1.7 | -1.2 | -1.4 | -1.7 | 8.5 | -1.1 | 0.9 | -3 | 2.7 | 5.8 |
| 2016 | 1.1 | -4.7 | 5.1 | 1.9 | 0.2 | -0.4 | -0.7 | -1.6 | 0.5 | 1.3 | 1.9 | -0.2 | 4.2 |
| 2017 | -2.2 | -2.4 | 2.9 | -0.7 | -1.5 | -0.7 | -0.4 | -0.1 | -0.4 | -0.9 | 1.7 | -0.1 | -4.7 |
| 2018 | -1 | 5.9 | -2.8 | -0.2 | 1.1 | 0.1 | -0.8 | -0.6 | -1.8 | 1.7 | 0.1 | 0.2 | 1.7 |
| 2019 | 1.2 | -0.4 | -2.7 | 1.4 | 2.1 | -2.8 | 0.2 | -0.9 | 0.3 | -2.3 | 1.9 | -0.6 | -2.7 |
| 2020 | 3.2 | 0.7 | 9.7 | 3.2 | -2.8 | 0.4 | 5.3 | -0.5 | 0 | 1.4 | -3.9 | -0.7 | 16.6 |
| 2021 | -1.9 | -3.1 | -1.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -5.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-11-08 297. SPY 147. -0.0051 -0.0256 -0.058 1.69e-2 0.0617 0.257 0.582 GLD 82.2 -1.00e-4 0.0552
2 2007-11-09 307. SPY 145. -0.0137 -0.0401 -0.0664 -6.00e-4 0.0448 0.242 0.599 GLD 82.2 -6.00e-4 0.0294
3 2007-11-12 308 SPY 144. -0.0099 -0.0423 -0.0808 4.80e-3 0.0399 0.228 0.603 GLD 78.3 -4.72e-2 -0.0182
4 2007-11-13 296. SPY 148. 0.0305 -0.0262 -0.0447 4.99e-2 0.0712 0.256 0.678 GLD 79.1 1.05e-2 -0.0284
5 2007-11-14 296 SPY 148. -0.0028 -0.0016 -0.0397 3.92e-2 0.0656 0.243 0.66 GLD 80.3 1.47e-2 -0.0238
6 2007-11-15 301. SPY 146. -0.0144 -0.011 -0.0565 5.70e-3 0.0424 0.226 0.634 GLD 78.0 -2.90e-2 -0.052
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
